This paper examines the determinants of the breakeven inflation rate (BEI) on 5 and 10 year US Treasury inflation … inflation expectations or liquidity itself but rather a changing preference for liquidity driven by financial market uncertainty … significant at the 0.1% level, holds even after controlling for inflation expectations and liquidity, and is robust to numerous …

We estimate inflation expectations and inflation risk premia using inflation forecasts from Consensus Economics and … Australian inflation-indexed bond price data. Inflation-indexed bond prices are assumed to be non-linear functions of latent … long-term inflation expectations are well anchored within the 2 to 3 per cent inflation target range, while short …

We propose a new approach to measuring long-run inflation risk, the inflation risk premium, and inflation expectations … for the UK over the period 1985–2012. By adding long-term bond futures to the information set of inflation-indexed and … nominal bonds, inflation risk is measured as an incremental time-varying covariance obtained from a trivariate GARCH model …

directly the inflation rate as an additional factor without reducing the forecasting ability of the model. The augmented model … produces an estimation of market expectations about inflation free of liquidity, counterparty and term premia. We provide a … comparison of the properties of this indicator with others usually employed to proxy the inflation expectations, such as the …

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator … depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia … using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve … countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia …

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator … depends on the relative volatilty and the correlation of inflation expectations and expected real interest rates. This paper … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

A simple test of inflation target credibility is constructed by subtracting the maximum and minimum inflation rates … consistent with the inflation targets from the yields to maturity on nominal bonds. This results in a target-consistent range of … absolute credibility and credibility in expectation, are distinguished. The credibility of inflation targets of Canada, New …

CNB's credibility at the beginning of 2000's. It was also found out that investor's mid-term and long-term inflation … expectation could differ substantially due to expected convergence of economy to low inflation economic system. …

analysis of financial markets’ behaviour through inflation and interest rates cannot define the real interactions of the …